Hasenbichler Futures

Diversified Fund SPC

Fund Investment Objectives

Research of historical data has led to the development of analytical models that mechanically eliminate emotionally-based trading decisions in short term unfavorable market conditions. The core system which has been in operation for many years is designed to profit from medium to long-term price trends. It is based on a small number of basic principles that seek to recognize patterns, break outs and volatility changes. In order to prevent the system from being fitted to historical data (curve fitting) these principles are applied to all markets in the same way with identical parameter settings for each market. Furthermore the parameters applied have to be profitable over a wide parameter range. Due to its long-term trading approach the system shows little sensitivity to trading costs, like slippage and commissions. The program trades a globally diversified portfolio of more than 70 exchange traded futures markets including currencies, interest rates, stock indices as well as traditional commodities (e.g. energy, metals, grains, etc.). Markets are selected on the basis of liquidity, their correlation with other markets and trending features. Depending on various indicators, the weightings of the markets traded will be systematically adjusted and certain markets included or excluded. In order to enhance the stability and profitability of the core system a new approach has been added: the rotational system. This system ranks all the markets based on a proprietary indicator. Positions are only taken in the highest ranked markets if their indicator value surpasses a certain threshold, i.e. the number of positions can vary between zero and the maximum number of positions allowed. As a consequence in periods of strong trends more positions are built up in the sectors that show the strongest trends, whereas in periods with little or no trending characteristics only few positions are held.